The Role of Risk in Asset Allocation - Research Affiliates

Trend-following Hedge Funds and Multi-period Asset Allocation

Investors have started to question whether hedge funds are actually alpha investments, or just some “new” form of beta (i.e. alternative beta). This issue was raised in the 1997 paper "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds" by …

The Risk in Hedge Fund Strategies: Theory and Evidence

MANAGED FUTURES AND LONG VOLATILITY - Jez Liberty

Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds William Fung Paradigm, LDC David A. Hsieh Duke University This article presents some new results on an un-explored dataset on hedge fund performance. The results indicate that hedge funds follow strategies that are dramatically different from